Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
نویسندگان
چکیده
Consider a two-dimensional delayed renewal risk model with a constant interest rate, where the claim sizes of the two classes form a sequence of independent and identically distributed random vectors following a common bivariate Sarmanov distribution. In the presence of heavytailed claim sizes, some asymptotic formulas are derived for the finite-time and infinite-time ruin probabilities.
منابع مشابه
Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
This paper mainly considers a nonstandard risk model with a constant interest rate, where both the claim sizes and the inter-arrival times follow some certain dependence structures. When the claim sizes are dominatedly varying-tailed, asymptotics for the infinite time ruin probability of the above dependent risk model have been given.
متن کاملOn a Discrete Interaction Risk Model with Delayed Claims
We study a discrete-time interaction risk model with delayed claims within the framework of the compound binomial model. Using the technique of generating functions, we derive both a recursive formula and a defective renewal equation for the expected discounted penalty function. As applications, the probabilities of ruin and the joint distributions of the surplus one period to ruin and the defi...
متن کاملThe Probabilities of Absolute Ruin in the Renewal Risk Model with Constant Force of Interest
In this paper we consider the probabilities of finiteand infinite-time absolute ruin in the renewal risk model with constant premium rate and constant force of interest. In the particular case of compound Poisson model, explicit asymptotic expressions for the finiteand infinite-time absolute ruin probabilities are given. For the general renewal risk model, we present an asymptotic expression fo...
متن کاملRuin Probabilities for Risk Processes with Non-stationary Arrivals and Subexponential Claims
In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary and nonrenewal. We give three examples of non-stationary and non-renewal point processes: Hawkes proces...
متن کاملRuin Probabilities with Dependent Rates of Interest and Autoregressive Moving Average Structures
This paper studies ruin probabilities in two discrete-time risk models with premiums, claims and rates of interest modelled by three autoregressive moving average processes. Generalized Lundberg inequalities for ruin probabilities are derived by using recursive technique. A numerical example is given to illustrate the applications of these probability inequalities. Keywords—Lundberg inequality,...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2014